On properties of the second order generalized autoregressive GAR(2) model with index.
In this paper we consider a new class of time series models generated by a second order autoregressive type operator with an index. Autocorrelation and spectral properties are discussed and some explicit results are derived for a restricted class in the family. The parameter estimation is discussed...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2009
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| Online Access: | http://psasir.upm.edu.my/id/eprint/15905/ |
| _version_ | 1848842810789199872 |
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| author | Shitan, Mahendran Peiris, Shelton |
| author_facet | Shitan, Mahendran Peiris, Shelton |
| author_sort | Shitan, Mahendran |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | In this paper we consider a new class of time series models generated by a second order autoregressive type operator with an index. Autocorrelation and spectral properties are discussed and some explicit results are derived for a restricted class in the family. The parameter estimation is discussed using the Whittle procedure. Some numerical results are presented to support the theoretical results.
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| first_indexed | 2025-11-15T08:05:03Z |
| format | Article |
| id | upm-15905 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:05:03Z |
| publishDate | 2009 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-159052013-07-25T03:34:13Z http://psasir.upm.edu.my/id/eprint/15905/ On properties of the second order generalized autoregressive GAR(2) model with index. Shitan, Mahendran Peiris, Shelton In this paper we consider a new class of time series models generated by a second order autoregressive type operator with an index. Autocorrelation and spectral properties are discussed and some explicit results are derived for a restricted class in the family. The parameter estimation is discussed using the Whittle procedure. Some numerical results are presented to support the theoretical results. Elsevier 2009-10 Article PeerReviewed Shitan, Mahendran and Peiris, Shelton (2009) On properties of the second order generalized autoregressive GAR(2) model with index. Mathematics and Computers in Simulation, 80 (2). pp. 367-377. ISSN 0378-4754 10.1016/j.matcom.2009.07.007 English |
| spellingShingle | Shitan, Mahendran Peiris, Shelton On properties of the second order generalized autoregressive GAR(2) model with index. |
| title | On properties of the second order generalized autoregressive GAR(2) model with index. |
| title_full | On properties of the second order generalized autoregressive GAR(2) model with index. |
| title_fullStr | On properties of the second order generalized autoregressive GAR(2) model with index. |
| title_full_unstemmed | On properties of the second order generalized autoregressive GAR(2) model with index. |
| title_short | On properties of the second order generalized autoregressive GAR(2) model with index. |
| title_sort | on properties of the second order generalized autoregressive gar(2) model with index. |
| url | http://psasir.upm.edu.my/id/eprint/15905/ http://psasir.upm.edu.my/id/eprint/15905/ |